First passage time for multivariate jump-diffusion processes in finance and other areas of applications (Q3077491)
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scientific article; zbMATH DE number 5855575
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| English | First passage time for multivariate jump-diffusion processes in finance and other areas of applications |
scientific article; zbMATH DE number 5855575 |
Statements
First passage time for multivariate jump-diffusion processes in finance and other areas of applications (English)
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22 February 2011
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first passage time problems
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stochastic differential equations
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jump-diffusion processes
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modified Monte Carlo algorithms
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default correlations
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multiscale problems
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0.8780266046524048
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0.7820038795471191
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0.7653946876525879
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0.7570453882217407
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0.7358898520469666
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